I have a randomly generated [-1;1] factor.
When trying to split it into quantiles or bins (get_clean_factor_and_forward_returns), what I get out is overlapping values.
Can somebody explain to me, please, if that’s the expected behavior, and, if yes, why?
OK, the reason for that is quantiles are computed on a daily basis, so for each day the quantiles are properly computed over the daily factor values.
Thank you for following up on your own question as it makes it easier for the rest of us.
Thank you for contributing - sorry I wasn’t able to respond earlier!